Theoretical and Applied Economics
No. 3 / 2013 (580)
Forecasting the variance and return of Mexican financial series with symmetric GARCH models
Fátima Irina VILLALBA PADILLA
Escuela Superior de Economia IPN, Mexico
Miguel FLORES-ORTEGA
Escuela Superior de Economia IPN, Mexico
Escuela Superior de Economia IPN, Mexico
Miguel FLORES-ORTEGA
Escuela Superior de Economia IPN, Mexico
Abstract. The present research shows the application of the generalized autoregresive conditional heteroskedasticity models (GARCH) in order to forecast the variance and return of the IPC, the EMBI, the weighted-average government funding rate, the fix exchange rate and the Mexican oil reference, as important tools for investment decisions. Forecasts in-sample and out-of-sample are performed. The covered period involves from 2005 to 2011.
Keywords: volatility; variance; return; financial variables; investment decisions.
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Contents
Marin Dinu
- Sustainability of the public debt
and the financial crisis
Aura Gabriela SOCOL
- The lending channel and budget balance:
empirical evidences
from Central and Eastern European economies
Bogdan-Gabriel MOINESCU
- Heterogeneous capital and consumption goods
in a structurally generalized Uzawa’s model
Wei-Bin ZHANG
- Differences between the nominal values
of the gross domestic product and the provisional
and semi-final variant
Vergil VOINEAGU
- Forecasting the variance and return of Mexican
financial series with symmetric GARCH models
Fátima Irina VILLALBA PADILLA
Miguel FLORES-ORTEGA
- Meanings and spreading patterns of the “positive”
concept in economic thought
Angela ROGOJANU
George ŞERBAN-OPRESCU
- Implications of the single supervisory mechanism
on ECB's functions and on credit institutions' activity
Teodora Cristina BARBU
Iustina Alina BOITAN
- Analysing movements in investor’s risk aversion
using the Heston volatility model
Alexie ALUPOAIEI
Andrei HREBENCIUC
Ana-Maria SĂNDICĂ
- The labour market in the post-crisis economy:
the case of Spain
Mirela Ionela ACELEANU
- Liberalisation and regulation in the financial crisis –
is behavioural economics a solution?
Liviu-George MAHA
Paula-Elena DIACON
Gabriel-Andrei DONICI
